It has already gone down as the greatest humiliation in Real Madrid's history. The neo-galácticos made fools of themselves; they had been left looking ludicrous after the 4-0 defeat by third-tier Alcorcón. The Catalan newspaper Sport called it a "ridículo histórico", while El Mundo Deportivo screamed: "Humiliated." They would say that, of course, but they weren't wrong.

Nor were they alone. Madrid's coach, Manuel Pellegrini, said he was "ashamed". The response was inevitable: so you should be. Not just ashamed, but out of a job. A poll on Marca's website showed that 85% considered it the greatest "ridículo" ever. Madrid are not yet out of the Copa del Rey but even if they turn it around in the second leg in two weeks' time there will be no undoing the damage done to them last night. "They still might get through but no one will ever take this dance from us," said the Alcorcón president. Like Lady Macbeth, there's no way Madrid can properly rid themselves of this stain.

Besides, without the injured Cristiano Ronaldo, few believe they can turn it around. And by then, they may be under new management: Madrid's president, Florentino Pérez, is an extremely bad loser and last night Madrid were thrashed by a side from Spain's Second Division B. Madrid face Getafe at the weekend and Milan next week. Two defeats, even one, and few expect the coach to survive.

It could have been worse, too. Last night's defeat was no fluke. Alcorcón had three shots in the first two minutes, when the final whistle went they were still going forward, and fans responded by recalling Vicente Boluda's ridiculous boast from last year and chanting: "this is a chorreo".

The goalkeeper Jerzy Dudek was Madrid's best player. Ah, you might say, Dudek. That explains it: true to the tradition of treating the Spanish Cup with the contempt it deserves, Madrid were playing with a team of subs. Only they weren't. Ronaldo was injured, Kaká, Iker Casillas and Xabi Alonso left out. But Raúl played. And Karim Benzema. And Esteban Granero. And Guti. Madrid started with €110m worth of players on the pitch. Not one youth-teamer was included.

Speaking of youth-teamers, let's put this into perspective. Alcorcón's squad cost less than €1m. Madrid's annual budget is €420m. On Monday afternoon, Madrid's squad were handed new cars by the club's sponsor – after driving them about in the (indoor) snow for the press first. They were worth more than €2m. That €2m could keep Alcorcón going for two years.

The average Alcorcón player earns €36,000 a season (although one lucky lad can supplement that with his earnings from the pizza shop). That is less than Ronaldo makes in a day.

Last night their stadium held 4,000. But only because they'd put some temporary seating in. More to the point, they play in Spain's Second Division B – the third tier, split across four, 20-team regional groups. More akin, in other words, to the Blue Square than La Liga. Put it this way, Real Madrid's youth team play in the same league as Alcorcón. In fact, Madrid's youth team have played them seven times and only ever lost once, 1-0.

Two hundred and fifty-four million pounds' worth of summer signings for this? It's a con, screams mad Madridista Tomás Roncero in AS. A galactic con, of course. "The fans," he writes, "are disgusted." Not least because they believe that this is not purely chance, nor an isolated, freak result.

Madrid have not convinced this season; they have scored lots of goals but their performances have been unconvincing – there's been little width, little possession, little fluidity, little control. Casillas has made more saves than any keeper in La Liga. Now, even the results are deserting them. While Ronaldo has been injured, Madrid have won just one in five. They have played two genuinely good sides (and "genuinely good" might be an exaggeration) and lost to both of them – Milan and Sevilla.

Pellegrini has consistently turned to the goalscoring stats to defend himself but they have not scored in their last two games. He has insisted that Madrid are a team in construction, that they must be patient. But Madrid don't have the time. Pérez certainly doesn't – for £254m he wants results yesterday.

Madrid's president is not a man to stand by his coaches – except, like a hostage taker, to thrust them into the firing line, shielding himself behind their bullet-ridden bodies. He went through six in three years last time. Pellegrini has lasted a couple of months; he may not last much longer. "Go now!" screams the cover of Marca, alongside a picture of the coach. "Pellegrini leads Madrid to a historic disgrace." "One thing is clear," says the paper's editorial, "Pellegrini has failed."

The concerning thing for the coach is not what they are saying but the fact that a paper so close to Pérez is saying it at all. That they are attacking him so bluntly, so directly and so consistently. That it is the culmination of a drip-drip campaign that has been running for a while. That they are doing so with complete impunity. Some would say connivance. Blaming Pellegrini means not blaming anyone else – especially Pérez. It is hard to avoid the conclusion that Real Madrid's coach, not for the first time, has been sacrificed already.